Apple already built a 3G MacBook Pro.From my understanding, it has never happened because there is not really enough demand for it. It costs too much from a battery life perspective.

Unique 3G MacBook Pro prototype headed back to Apple
North Carolina resident Carl Frega is soon to be its former owner of a rare 3G MacBook prototype that he was selling for $70,000+ on eBay.

However, they never released it.